Items where Author is "Lazar, Professor Emese"
Group by: Item Type | No Grouping Number of items: 20. Article
Lazar, Emese
Lazar, Emese
Lazar, Emese
Jiang, Yushuang and Lazar, Emese Alexander, Carol, Lazar, Emese and Stanescu, Silvia (2021) Analytic moments for GJR-GARCH (1,1) processes. International Journal of Forecasting, 37 (1). pp. 105-124. ISSN 0169-2070 doi: https://doi.org/10.1016/j.ijforecast.2020.03.005 Alexander, Carol and Lazar, Emese (2021) The continuous limit of weak GARCH. Econometric Reviews, 40 (2). pp. 197-216. ISSN 1532-4168 doi: https://doi.org/10.1080/07474938.2020.1799592 Lazar, Emese and Xue, Xiaohan (2020) Forecasting risk measures using intraday data in a generalized autoregressive score (GAS) framework. International Journal of Forecasting, 36 (3). pp. 1057-1072. ISSN 0169-2070 doi: https://doi.org/10.1016/j.ijforecast.2019.10.007 Avino, Davide and Lazar, Emese (2020) Rethinking capital structure arbitrage: a price discovery perspective. The Journal of Alternative Investments, 22 (4). pp. 75-91. ISSN 1520-3255 doi: https://doi.org/10.3905/jai.2020.1.093 Pele, Daniel Traian, Lazar, Emese and Mazurencu-Marinescu-Pele, Miruna (2019) Modelling expected shortfall using tail entropy. Entropy, 21 (12). 1204. ISSN 1099-4300 doi: https://doi.org/10.3390/e21121204 Lazar, Emese and Zhang, Ning (2019) Model risk of expected shortfall. Journal of Banking and Finance, 105. pp. 74-93. ISSN 0378-4266 doi: https://doi.org/10.1016/j.jbankfin.2019.05.017 Pele, Daniel Traian, Lazar, Emese and Dufour, Alfonso (2017) Information entropy and measures of market risk. Entropy, 19 (5). 226. ISSN 1099-4300 doi: https://doi.org/10.3390/e19050226 Avino, Davide, Lazar, Emese and Varotto, Simone (2015) Time varying price discovery. Economics Letters, 126. pp. 18-21. ISSN 0165-1765 doi: https://doi.org/10.1016/j.econlet.2014.09.030 Alexander, Carol, Lazar, Emese and Stanescu, Silvia (2013) Forecasting VaR using analytic higher moments for GARCH processes. International Review of Financial Analysis, 30. pp. 36-45. ISSN 1057-5219 doi: https://doi.org/10.1016/j.irfa.2013.05.006 Avino, Davide, Lazar, Emese and Varotto, Simone (2013) Price discovery of credit spreads in tranquil and crisis periods. International Review of Financial Analysis, 30. pp. 242-253. ISSN 1057-5219 doi: https://doi.org/10.1016/j.irfa.2013.08.002 Symeonidis, Lazaros, Prokopczuk, Marcel, Brooks, Chris and Lazar, Emese (2012) Futures basis, inventory and commodity price volatility: an empirical analysis. Economic Modelling, 29 (6). pp. 2651-2663. ISSN 0264-9993 doi: https://doi.org/10.1016/j.econmod.2012.07.016 (http://www.sciencedirect.com/science/journal/02649993) Alexander, C. and Lazar, E. (2009) Modelling regime-specific stock price volatility. Oxford Bulletin of Economics and Statistics, 71 (6). pp. 761-797. ISSN 1468-0084 doi: https://doi.org/10.1111/j.1468-0084.2009.00563.x Badescu, Alex, Kulperger, Reg and Lazar, Emese (2008) Option valuation with normal mixture GARCH models. Studies in nonlinear dynamics & econometrics, 12 (2). 5. ISSN 1558-3708 doi: https://doi.org/10.2202/1558-3708.1580 Alexander, Carol and Lazar, Emese (2006) Normal mixture GARCH(1,1): applications to exchange rate modelling. Journal of Applied Econometrics, 21 (3). pp. 307-336. ISSN 1099-1255 doi: https://doi.org/10.1002/jae.849 Book or Report Section
Lazar, Emese and Zhang, Ning
(2020)
Market risk measurement: preliminary
lessons from the COVID-19 crisis.
In: Billio, Monica and Varotto, Simone Conference or Workshop ItemAlexander, Carol and Lazar, Emese (2004) Time aggregation of normal mixture GARCH models. In: Second international IASTED conference on financial engineering and applications, 8-10 November, 2004, Massachusetts Institute of Technology, Cambridge, USA. |